In 3d−4f intermetallic compounds, a Co substitution for Fe usually strengthens the exchange interactions due to a shift of the Fermi energy to a region of the 3d band with higher density of states. Here, we study the influence of Co on the magnetism of ferrimagnetic DyFe₅Al₇ using magnetization measurements in static (up to 14 T) and pulsed (up to 58 T) magnetic fields. We find that the homogeneity range of DyFe_5−xCo_xAl₇ is limited to x≤2.5. The Co substitution for Fe produces a strong detrimental effect on the 3d−3d intrasublattice exchange interactions, which leads to a pronounced decrease of the Curie temperature and of the 3d−4f intersublattice exchange field. A reduction of the density of states at the Fermi level might occur due to a broadening of the 3d band. A decrease of the rare-earth contribution to the magnetic anisotropy energy is also observed with increasing Co content. This is attributed to a competition between the Fe and Co contributions to the crystal electric field at the Dy site.